English

Reflection principle and Ocone martingales

Probability 2008-07-25 v1

Abstract

Let M=(Mt)t0M =(M_t)_{t\geq 0} be any continuous real-valued stochastic process. We prove that if there exists a sequence (an)n1(a_n)_{n\geq 1} of real numbers which converges to 0 and such that MM satisfies the reflection property at all levels ana_n and 2an2a_n with n1n\geq 1, then MM is an Ocone local martingale with respect to its natural filtration. We state the subsequent open question: is this result still true when the property only holds at levels ana_n? Then we prove that the later question is equivalent to the fact that for Brownian motion, the σ\sigma-field of the invariant events by all reflections at levels ana_n, n1n\ge1 is trivial. We establish similar results for skip free Z\mathbb{Z}-valued processes and use them for the proof in continuous time, via a discretisation in space.

Keywords

Cite

@article{arxiv.0807.3816,
  title  = {Reflection principle and Ocone martingales},
  author = {Loïc Chaumont and L. Vostrikova},
  journal= {arXiv preprint arXiv:0807.3816},
  year   = {2008}
}
R2 v1 2026-06-21T11:03:47.586Z